Forecasts of US short-term interest rates: A flexible forecast combination approach

Massimo Guidolin and Allan Timmermann

Journal of Econometrics, 2009, vol. 150, issue 2, 297-311

Abstract: This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that, accounting for both regimes in interest rate dynamics, and combining forecasts from different models, helps improve the out-of-sample forecasting performance for US short-term rates. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons.

Keywords: Forecast; combinations; Regime; switches; Short; term; interest; rates; Expectations; hypothesis (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (51)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(08)00226-1
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach (2007)
Working Paper: Forecasts of U.S. short-term interest rates: a flexible forecast combination approach (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:150:y:2009:i:2:p:297-311

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().